Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 1 2 2
Score -5.34 -3.61 -5.37
Market Cap (Millions USD) 1237.17 1190.36 1360.68
Predicted Beta 1.89 1.88 1.87
Idiosyncratic Volatility 3.31 3.35 4.39

Annualized return and volatility

IYG
Annualized Return 0.0490
Annualized Std Dev 0.2921
Annualized Sharpe (Rf=0%) 0.1677

Row

Daily Return Statistics

IYG
Observations 4992.0000
NAs 121.0000
Minimum -0.1724
Quartile 1 -0.0066
Median 0.0001
Arithmetic Mean 0.0004
Geometric Mean 0.0002
Quartile 3 0.0076
Maximum 0.1710
SE Mean 0.0003
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0009
Variance 0.0003
Stdev 0.0184
Skewness 0.4099
Kurtosis 14.9826

Downside Risk

IYG
Semi Deviation 0.0128
Gain Deviation 0.0149
Loss Deviation 0.0142
Downside Deviation (MAR=210%) 0.0171
Downside Deviation (Rf=0%) 0.0126
Downside Deviation (0%) 0.0126
Maximum Drawdown 0.8184
Historical VaR (95%) -0.0256
Historical ES (95%) -0.0431
Modified VaR (95%) -0.0221
Modified ES (95%) -0.0221
From Trough To Depth Length To Trough Recovery
2007-02-21 2009-03-06 2017-09-19 -0.8184 2711 527 2184
2001-01-31 2002-10-09 2003-10-13 -0.3495 690 430 260
2018-01-29 2018-12-24 2019-07-23 -0.2457 379 233 146
2000-09-13 2000-10-12 2000-12-28 -0.1455 76 23 53
2004-03-08 2004-05-10 2004-11-04 -0.1155 171 46 125

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IYG
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA 0.0 0.6 0.1 0.0 -0.9 -0.3 0.0 -0.4
2001 0.4 0.1 0.0 0.2 0.1 0.0 0.9 0.0 0.6 1.7 0.0 0.0 4.0
2002 -0.4 1.2 -0.8 0.4 0.0 -1.7 -1.9 0.0 4.1 1.8 0.0 0.0 2.5
2003 0.0 0.0 1.3 -0.3 0.0 1.1 -2.4 0.0 2.4 0.0 0.7 0.0 2.8
2004 0.0 0.7 0.8 0.0 -0.6 -1.0 0.0 -0.2 1.4 0.2 1.9 0.0 3.2
2005 1.3 1.2 -1.1 0.0 0.4 -0.1 0.4 0.3 0.0 -0.9 0.7 0.0 2.0
2006 -0.3 0.6 0.0 -1.6 1.3 0.0 -0.1 0.2 0.0 -1.0 -0.6 0.0 -1.6
2007 0.6 -0.3 0.0 0.4 0.4 0.0 0.1 0.0 2.3 -5.0 0.0 0.0 -1.7
2008 2.3 0.0 7.8 4.5 0.0 1.2 0.8 0.0 3.5 0.0 -16.2 0.0 2.1
2009 0.0 0.0 2.9 -0.8 0.9 -0.6 0.0 -4.9 -4.0 0.0 0.0 0.0 -6.6
2010 1.4 0.1 0.9 0.0 -2.1 -0.7 0.0 4.0 1.1 -0.4 2.3 0.0 6.7
2011 2.3 -2.0 0.9 0.0 -3.7 2.1 -0.1 -2.6 0.0 -5.3 -0.7 0.0 -9.1
2012 1.7 1.5 0.0 1.2 -4.2 0.0 -0.8 0.0 0.9 1.9 0.0 0.0 2.2
2013 1.5 0.2 -0.8 -1.4 0.0 0.7 1.9 0.0 0.7 0.6 0.0 0.0 3.3
2014 0.0 0.0 0.5 -0.1 0.0 0.9 -1.2 0.0 -1.4 0.0 -1.1 0.0 -2.4
2015 0.0 0.0 -0.3 0.5 0.0 1.2 0.0 -4.0 0.3 0.0 0.9 0.0 -1.4
2016 -0.6 3.9 0.9 0.0 0.4 -0.6 -0.6 -0.5 0.0 -0.4 1.4 0.0 4.0
2017 0.2 2.8 0.0 0.6 1.2 0.0 0.8 0.6 0.0 0.2 0.0 0.0 6.6
2018 1.1 -1.6 0.0 0.1 1.3 0.0 0.3 0.0 0.3 0.8 0.0 0.0 2.3
2019 0.7 0.7 2.4 -1.0 0.0 1.1 -2.0 0.0 -2.0 1.5 0.0 -0.1 1.1

Row

Rolling Performance Chart

Snail Trail Chart